Garimalla R Chandrashekhar

Prestige Education Foundation · Business Analytics

This article analyzes the long-run relationship between domestic equity Index ETFs and their respective underlying indices in various markets. In doing so, we study the inter-relationship between these ETFs and their underlying equity indices using the ‘traditional’ Cointegration (CVAR) and Fractional Cointegration (FCVAR) models. The FCVAR model i...

We examine the informational efficiency of domestic equity ETFs vis-a-vis their underlying market indices during the COVID-19 pandemic. To do so, we employ a multiscale entropy-based methodology. Our findings indicate that the informational efficiency of all ETFs as well as the indices fall sharply during the COVID induced market crash in February-...

The experience of past financial market turmoil suggests that in addition to eroding investor wealth, the severe consequences of rare extreme market events can spillover and impair the broader real economies. In this context, this paper is an evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This...

In light of the growing prominence of passive investment schemes in general and Exchange Traded Funds (ETFs) in particular, this study examines the relative efficiency of domestic equity index ETFs across the globe from an Adaptive Market Hypothesis perspective. To be specific, we examine the relative efficiency of equity ETFs pertaining to Austral...

This paper offers a multifaceted perspective of the literature on long memory. Although the research on long memory has played an instrumental role in elevating the level of scholarly discourse on market efficiency, the authors believe that the issue of the prevalence of long memory or lack thereof remains unsettled. While long memory models should...

This paper examines the impact of the internationalization process on the competitive dynamics of an industry in an international context. The examination was carried out using two complementary approaches: first, by constructing a Dunning-Porter diamond framework, which is an extension of Porter's diamond framework, and embedding a causal modellin...

This research recognizes the importance of the founding conditions of a firm. A new construct, Founding Time (FT) has been conceptualized, measured, and validated to represent one of the founding conditions of a firm. FT is then used to understand the phenomena of growth of firms. The impact of FT on the growth of a firm has been examined. This exa...